by Giovanni Gambarotta, Hui Chen, Simon Scheidegger, Yu Xu
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Suggested foundations for portfolio construction and market microstructure and execution. Specialist prerequisites vary by paper.
Understand the covariance structure of portfolio risk.
Read objectives, constraints and optimality conditions.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Construct allocations and examine sensitivity to estimated inputs.
Turn mathematical weights into feasible portfolio decisions.
Connect trading speed and size to execution cost.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.